Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vir Biotechnology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vir Biotechnology, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.8%, MDD -55.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -6.9%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.6%, MDD -64.7%, Sharpe 0.66, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 35.5%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 13.8%, MDD -55.7%, exposure 52%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=3, slow=14 |
28.6% | -64.7% | 0.66 | 0.44 | 5.5x | 142 | 47% |
| MACD fast=16, slow=23, signal=16 |
18.3% | -58.8% | 0.56 | 0.31 | 3.1x | 76 | 54% |
| Donchian 채널 돌파 entryN=7, exitN=10 |
13.8% | -55.7% | 0.51 | 0.25 | 2.4x | 72 | 52% |
| ADX / DI 방향성 period=14, threshold=12 |
10.6% | -75.0% | 0.49 | 0.14 | 2.0x | 114 | 54% |
| ROC 모멘텀 n=12, threshold=-0.03 |
8.1% | -86.7% | 0.45 | 0.09 | 1.7x | 208 | 55% |
| Parabolic SAR step=0.015, maxStep=0.36 |
8.2% | -83.6% | 0.43 | 0.10 | 1.7x | 110 | 46% |
| 볼린저 밴드 돌파 n=11, k=1.8 |
9.8% | -64.2% | 0.42 | 0.15 | 1.9x | 104 | 25% |
| Supertrend period=11, mult=2.3 |
5.4% | -74.8% | 0.38 | 0.07 | 1.4x | 64 | 45% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=0.8 |
2.2% | -79.2% | 0.33 | 0.03 | 1.2x | 102 | 33% |
| EMA 크로스오버 fast=15, slow=27 |
-10.5% | -92.1% | 0.18 | -0.11 | 0.5x | 52 | 45% |
| Buy and hold | -6.9% | -94.8% | 0.37 | -0.07 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 3-day average price crosses above the 14-day average
- Sell — Sell (to cash) when the 3-day average falls below the 14-day average